Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0066
Annualized Std Dev 0.1919
Annualized Sharpe (Rf=0%) -0.0344

Row

Daily Return Statistics

Close
Observations 5553.0000
NAs 1.0000
Minimum -0.1426
Quartile 1 -0.0043
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0047
Maximum 0.2338
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0121
Skewness 1.3994
Kurtosis 60.9528

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0102
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.6183
Historical VaR (95%) -0.0153
Historical ES (95%) -0.0274
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2004-03-18 2008-12-16 NA -0.6183 4282 1197 NA
1999-03-22 2000-06-02 2002-10-08 -0.3115 878 296 582
2003-07-03 2003-09-04 2004-03-08 -0.1305 171 44 127
2002-10-10 2002-10-28 2003-06-12 -0.1173 169 13 156
1999-02-02 1999-02-03 1999-03-16 -0.0164 27 2 25

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0 0.9 0.9 -0.5 -0.5 0 -1 1 0 1.1 2.1
2000 1.1 -1.1 -0.5 -0.5 -2.9 1.2 0 0.5 -1.6 -0.5 -1.6 1.6 -4.3
2001 2.9 0 1 -0.4 0.9 -0.6 1.5 0.4 1.8 1.5 -0.9 2 10.4
2002 0.8 0.5 -0.6 0.3 -0.1 0.8 -0.1 1.4 0.1 0.7 -0.3 1.1 4.6
2003 -0.3 0.4 0 -0.2 0.5 -0.3 0.4 0.1 0.7 -0.3 -0.3 1.3 2.1
2004 0.1 0.8 0.1 0.4 0.6 0.8 0.1 0.8 0.1 0.3 -0.2 -0.5 3.5
2005 -1.1 0.3 1.7 0.1 0.2 -1.8 -0.1 0 1.2 0.2 -0.1 1.4 1.8
2006 0.1 0.9 0.5 -0.3 -3.2 0.9 -0.4 -1.1 0.1 0.5 1 0 -1
2007 0.2 -0.6 0.9 0 -1.3 -0.3 0.2 0.2 0.1 0.1 0.9 -0.1 0.2
2008 0.4 -0.9 0.9 0.9 0.2 -0.8 0.2 -0.5 1 1.8 -3.3 0.5 0.3
2009 1.3 0.2 0.4 -0.5 -0.3 0.5 1.5 0.2 -0.6 1.2 0 0.8 4.9
2010 1.1 0.6 0.2 -0.5 0.3 -0.1 -0.4 0 1 -0.2 -0.5 2.8 4.3
2011 1.3 0.4 0.3 0.2 -0.2 0.6 4.1 0.4 0 -1.3 1 0 6.7
2012 0.7 0.2 0.4 0.4 0.2 -0.1 -0.8 -1 1.1 0.4 -1.1 0.2 0.6
2013 0.8 -0.4 0.1 -0.5 -2.7 0.7 0.6 -0.1 -0.8 -0.9 -0.6 0.1 -3.7
2014 0.2 -0.2 -0.6 0.9 -0.2 -0.8 0 -0.3 0.6 0.4 0.4 0.7 1.1
2015 0.1 0.9 0.4 -0.1 0.8 -0.5 1.1 1.2 -1.4 -0.7 0.2 -0.6 1.4
2016 0.1 1.5 0.1 0.5 0.4 0.2 0.1 1.1 -0.2 -0.2 -1.4 0.1 2.3
2017 -0.2 -0.1 0.1 0.2 -0.2 0 1.4 -0.4 0.2 -0.5 -0.2 -0.2 0.2
2018 0 0.1 0.3 0.4 0.1 0.2 0 0.3 -0.3 0.4 -0.3 0.6 1.8
2019 0.1 0.1 0.9 -0.1 -0.2 -0.2 0.9 -0.7 -0.4 0.4 0.2 0.6 1.5
2020 0 -2 -4 1.2 0.8 -0.6 0.3 0.5 0.5 -1.4 -0.5 0.1 -5
2021 0.4 1 0.1 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-27  15.1 SPY    125. -0.0117  -0.0126  NA            NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-29  15.2 SPY    128.  0.0076   0.0416  NA            NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-02-01  15.2 SPY    127. -0.0059   0.025   NA            NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-02-02  15.1 SPY    126. -0.0062   0.0005  NA            NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-02-03  15   SPY    127.  0.0102   0.0226   0.0356       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-02-05  15   SPY    124. -0.0115  -0.0282  -0.0265       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart